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The End of Growth?
In this article published by the Wilmott magazine, former banker and author, Satyajit Das, asks if this is the end of economic growth and what a world of no, or low rates of, growth will look like.
Tue 21 Apr 2020
Potential Future Exposure Calculations Using the BGM Model
Within this paper the authors look at the BGM model in PFE calculations for various exotic interest rate products.
Thu 18 Jul 2019
Managing Smile Risk
In this paper, it is discovered that the dynamics of the market smile predicted by local vol models is opposite of observed market behaviour.
Sun 13 Jan 2019
Transformers
In this column published in Wilmott Magazine, Mike Staunton discusses the Hilbert transform.
Tue 13 Feb 2018
Investing in Thoroughbred Race Horses
Bill Ziemba discusses the horse-racing investments at the highest level: actual horse ownership, as opposed to betting on the races.
Wed 24 Jan 2018
Bond over Big Data - Trading bond futures (& FX) with RavenPack news data
The author uses the RavenPack Analytics Global Macro data to create news-based economic indices (NBESI) for the U.S., E.Z, U.K. and Japan which they then test against sovereign bond futures prices.
Thu 12 Oct 2017
A “Multi-Topics” Approach to Building Quant Models
In this research, RavenPack demonstrate how their improved event detection technology allow investors to systematically identify key topics and market-moving events.
Thu 12 Oct 2017
IMPACT STUDY: Earnings Sentiment Consistently Outperforms Consensus
In RavenPack’s latest research, we find that their new earnings sentiment indicator derived from real-time news and social media significantly outperforms consensus estimates.
Tue 12 Sep 2017
How to use Natural Language Processing for Multi-Topic Quant Investing
In this article, Peter Hafez discusses how investors need the right tools to cut through the noise to uncover the signal behind the latest move in the markets.
Wed 23 Aug 2017
Index-tracking Portfolio Optimization Model
In the present tutorial report Guillermo Navas-Palencia examines the theory and computational aspects behind the index-tracking portfolio optimization model.
Thu 24 Nov 2016
